Would a DM accept to split a party that way? But I suppose that with a board game, the companions that aren't engaged in a combat would have to take their turn when moving anyway, with a maximum distance, so that wouldn't make any difference. Larian's games switch to real-time out of combat.
I remember exploiting that in the EA with a rogue who would go far enough to get out of combat mode, refresh up, then go back in (which didn't reset the HP of the enemies). I'm not sure it's still possible to do that; hopefully not. There are always ways to do exploits in games; it's up to the player so I don't see that as an issue.
Either way, a rogue makes this game much easier. More often than not, my rogue is doing more damage than the others and often saves the day, not to mention all the locks and traps (some of which can't be just shot). Except for some optional loot, though, I think that it's always possible to find the necessary keys.